New Reserve Bank Discussion Papers

The following Discussion Paper has been released on the Reserve Bank's website. The discussion papers are available at http://www.rbnz.govt.nz/research/discusspapers/

DP2009/13
The “suite” smell of success - Complementary personnel practices and firm performance

By Richard Fabling and Arthur Grimes, December 2009 (PDF 275KB)
http://www.rbnz.govt.nz/research/discusspapers/dp09_13.pdf

Abstract
How do personnel practices affect firm performance? To examine this issue we use a panel of over 1,500 New Zealand firms, drawn from a diverse range of industries. The panel comprises respondents to official surveys of management practices in 2001 and 2005. These surveys ask a wide range of comparable qualitative questions covering organisational practices including human resource management (HRM). To this panel, we link longitudinal firm performance data from Statistics New Zealand's Longitudinal Business Database. We find that suites of complementary HRM-related practices impact positively on firm productivity and wages; effects on employee turnover depend on the practices considered.

DP2009/14
Impulse Response Identification in DSGE Models

By Martin Fukac, December 2009 (PDF 270KB)
http://www.rbnz.govt.nz/research/discusspapers/dp09_14.pdf

Abstract
DSGE models have become a widely used tool for policymakers. This paper takes the global identification theory used for structural vector autoregressions, and applies it to dynamic stochastic general equilibrium (DSGE) models. We use this modified theory to check whether a DSGE model structure allows for unique estimates of structural shocks and their dynamic effects. The potential cost of a lack of identification for policy oriented models along that specific dimension is huge, as the same model can generate a number of contrasting yet theoretically and empirically justifiable recommendations. The problem and methodology are illustrated using a simple New Keynesian business cycle model.

DP2009/15
Measuring Output Gap Uncertainty

By Anthony Garratt, James Mitchell, and Shaun P. Vahey, December 2009 (PDF 293KB)
http://www.rbnz.govt.nz/research/discusspapers/dp09_15.pdf

Abstract
We propose a methodology for producing density forecasts for the output gap in real time using a large number of vector autoregessions in inflation and output gap measures. Density combination utilizes a linear mixture of experts framework to produce potentially non-Gaussian ensemble densities for the unobserved output gap. In our application, we show that data revisions alter substantially our probabilistic assessments of the output gap using a variety of output gap measures derived from univariate detrending filters. The resulting ensemble produces well-calibrated forecast densities for US inflation in real time, in contrast to those from simple univariate autoregressions which ignore the contribution of the output gap. Combining evidence from both linear trends and more flexible univariate detrending filters induces strong multi-modality in the predictive densities for the unobserved output gap. The peaks associated with these two detrending methodologies indicate output gaps of opposite sign for some bservations, reflecting the pervasive nature of model uncertainty in our US data.

DP2009/16
Structural Macro-Econometric Modelling in a Policy Environment

By Martin Fukac and Adrian Pagan, December 2009 (PDF 275KB)
http://www.rbnz.govt.nz/research/discusspapers/dp09_16.pdf

Abstract
In this paper we review the evolution of macroeconomic modelling in a policy environment that took place over the past sixty years. We identify and characterise four generations of macro models. Particular attention is paid to the fourth generation – dynamic stochastic general equilibrium models We discuss some of the problems in how these models are implemented and quantified.

ENDS

© Scoop Media